Yes, there's always confusion on locations and their names. For folks coming from far away, especially from other countries, the southwest includes California, perhaps as the most southwest of all of the states in this region.
Well, sure, California is the southwestern-most state in the whole country, but is it the southwest? Many locals would beg to disagree. (Please note that this has absolutely nothing to do with politics. Nothing.) California (and the two states above it) is a Pacific state, not a southwestern state, in their view.
So it's hard to define exactly what people understand under southwest (and other regions as well, I'm sure). Part of it is likely not just geography, but also some kind of state of mind or culture.
:)
Lynn